Yes, if we lose a significant amount for us, we can't just not think about it. It will ruin our day, at the very least. And instead of relaxation we will only get more stress. Imagine, paying your money for being even more stressed. How frustrating is that! The only way to avoid such situations is limiting your potential losses per session. So that if you lose in the end, you think "Oh that's nothing. Let's just move on."
True, many times I have problems understanding those which get addicted to gambling as gambling should be something that we do in order to relax and have a good time, but those which are addicted are not having a good time at all and if anything they are suffering greatly because of their actions, and if that is the case they may as well find another activity in which they get the same suffering but save themselves all of that money they lose.